Big Data Challenges of High-Dimensional Continuous-Time Mean-Variance Portfolio Selection and a Remedy-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Big Data Challenges of High-Dimensional Continuous-Time Mean-Variance Portfolio Selection and a Remedy

Published:2017-03-30 Issue:8 Volume:37 Page:1532-1549
ISSN:0272-4332
Container-title:Risk Analysis
language:en
Short-container-title:Risk Analysis

Author:

Chiu Mei Choi¹,Pun Chi Seng²,Wong Hoi Ying³

Affiliation:

1. Department of Mathematics and Information Technology; The Education University of Hong Kong; Tai Po Hong Kong

2. Division of Mathematical Sciences; Nanyang Technological University; Singapore

3. Department of Statistics; The Chinese University of Hong Kong; Shatin Hong Kong

Funder

Research Grants Council, University Grants Committee

Publisher

Wiley

Subject

Physiology (medical),Safety, Risk, Reliability and Quality

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/risa.12801/fullpdf

Reference43 articles.

1. Portfolio selection;Markowitz;Journal of Finance,1952

2. Risk-based sampling: I don't want to weight in vain;Powell;Risk Analysis,2015

3. Consumption and portfolio decisions when expected returns are time varying;Campbell;Quarterly Journal of Economics,1999

4. Optimal dynamic portfolio selection: Multiperiod mean-variance formulation;Li;Mathematical Finance,2000

5. Continuous-time mean-variance portfolio selection: A stochastic LQ framework;Zhou;Applied Mathematics & Optimization,2000

Cited by 38 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Predicting pharmaceutical supply chain disruptions before and during the COVID‐19 pandemic;Risk Analysis;2024-08-30

2. Robust portfolio strategies based on reference points for personal experience and upward pacesetters;Review of Quantitative Finance and Accounting;2024-04-11

3. Topological deep learning: a review of an emerging paradigm;Artificial Intelligence Review;2024-02-29

4. Words Worth Millions: Decrypting Financial Text with Gemini;2024

5. An Extended McKean–Vlasov Dynamic Programming Approach to Robust Equilibrium Controls Under Ambiguous Covariance Matrix;Applied Mathematics & Optimization;2023-10-24

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3